Find the Annualized Implied Repo Rate on a T-Bond Arbitrage

question 8

Multiple Choice

Find the annualized implied repo rate on a T-bond arbitrage if the spot price is 112.25,the accrued interest is 1.35,the futures price is 114.75,the CF is 1.0125,the accrued interest at delivery is 0.95,and the holding period is three months.

• A)1.85 percent
• B)0.77 percent
• C)14.77 percent
• D)13.04 percent
• E)2.23 percent

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